IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v51y2016i06p1897-1923_00.html
   My bibliography  Save this item

Time-Varying Liquidity and Momentum Profits

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Butt, Hilal Anwar & Virk, Nader Shahzad, 2019. "Market downturns, zero investment strategies and systematic liquidity risk," Finance Research Letters, Elsevier, vol. 28(C), pages 246-253.
  2. Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019. "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  3. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  4. Hung, Weifeng & Lin, Ching-Ting & Yang, J. Jimmy, 2022. "Aggregate 52-week high, limited attention, and time-varying momentum profits," Journal of Banking & Finance, Elsevier, vol. 141(C).
  5. Lin, Chaonan & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2022. "Does the momentum gap explain momentum in Taiwan?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  6. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  7. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  8. Yuming Li, 2017. "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 289-315, August.
  9. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
  10. Tan Yeng May & Cheng Fan Fah & Taufiq Hassan, 2018. "Impacts of Ownership Concentration and Liquidity on Stock Momentum Profitability in Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 14(1), pages 57-81.
  11. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
  12. Yang, Nien-Tzu & Chu, Hsiang-Hui & Ko, Kuan-Cheng & Lee, Shiou-Wen, 2018. "Continuing overreaction and momentum in a market with price limits," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 56-71.
  13. Li, Yan & Liang, Chao & L.D. Huynh, Toan, 2022. "A new momentum measurement in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  14. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
  15. Zhaobo Zhu & Licheng Sun, 2024. "Economic policy uncertainty and short-term reversals," Post-Print hal-04691597, HAL.
  16. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
  17. Chuliá, Helena & Mosquera-López, Stephania & Uribe, Jorge M., 2023. "Nonlinear market liquidity: An empirical examination," International Review of Financial Analysis, Elsevier, vol. 87(C).
  18. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
  19. Sim, Myounghwa & Kim, Hee-Eun, 2022. "Salience theory and enhancing momentum profits," Finance Research Letters, Elsevier, vol. 50(C).
  20. Yang Gao & Henry Leung & Stephen Satchell, 2018. "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 341-350, September.
  21. Huang, Alex YiHou, 2024. "Mechanisms of overpricing: An investigation on momentum crashes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 118-142.
  22. Chai, Daniel & Chiah, Mardy & Zhong, Angel & Li, Bob, 2022. "Another look at sources of momentum profits," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 310-323.
  23. Jessica Paule-Vianez & Júlio Lobão & Raúl Gómez-Martínez & Camilo Prado-Román, 2021. "Momentum strategies in times of economic policy uncertainty," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(3), pages 285-300, April.
  24. Kim, Byungoh & Suh, Sangwon, 2018. "Sentiment-based momentum strategy," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 52-68.
  25. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  26. Chiang, I-Hsuan Ethan & Kirby, Chris & Nie, Ziye Zoe, 2021. "Short-term reversals, short-term momentum, and news-driven trading activity," Journal of Banking & Finance, Elsevier, vol. 125(C).
  27. Teplova, Tamara & Tomtosov, Aleksandr, 2021. "Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 210-223.
  28. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
  29. Xie, Jun & Fang, Yuying & Gao, Bin & Tan, Chunzhi, 2023. "Availability heuristic and expected returns," Finance Research Letters, Elsevier, vol. 51(C).
  30. Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  31. Adam Zaremba & Jan Jakub Szczygielski, 2019. "Limits to arbitrage, investor sentiment, and factor returns in international government bond markets," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 32(1), pages 1727-1743, January.
  32. Yao, Shouyu & Wang, Chunfeng & Fang, Zhenming & Chiao, Chaoshin, 2021. "MAX is not the max under the interference of daily price limits: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 348-369.
  33. Kang, Moonsoo & Khaksari, S. & Nam, Kiseok, 2018. "Corporate investment, short-term return reversal, and stock liquidity," Journal of Financial Markets, Elsevier, vol. 39(C), pages 68-83.
  34. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
  35. Siddiqi, Hammad, 2022. "Asset Pricing in the Resource-Constrained Brain," MPRA Paper 120526, University Library of Munich, Germany, revised 05 Feb 2024.
  36. Doron Avramov & Si Cheng & Lior Metzker, 2023. "Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability," Management Science, INFORMS, vol. 69(5), pages 2587-2619, May.
  37. Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021. "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, vol. 93(C).
  38. Garima Goel & Saumya Ranjan Dash & Mário Nuno Mata & António Bento Caleiro & João Xavier Rita & José António Filipe, 2021. "Economic Policy Uncertainty and Stock Return Momentum," JRFM, MDPI, vol. 14(4), pages 1-17, March.
  39. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
  40. Ming, Lei & Song, Wuqi & Dong, Minyi, 2023. "Revisiting time series momentum in China's commodity futures market: Evidence on sources of momentum profits," Economic Modelling, Elsevier, vol. 128(C).
  41. Butt, Hilal Anwar & Kolari, James W. & Sadaqat, Mohsin, 2021. "Revisiting momentum profits in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  42. Cheng, Feiyang & Wang, Chunfeng & Chiao, Chaoshin & Yao, Shouyu & Fang, Zhenming, 2021. "Retail attention, retail trades, and stock price crash risk," Emerging Markets Review, Elsevier, vol. 49(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.